My theory is that Coldhands is SPOILER: ( Brynden Rivers (aka. Bloodraven) who has wharged into one of the others (or a wight). My feelings are that too many people underestimate Brynden Rivers as a major player in unfolding events. I think people assume that he's just sitting in a cave watching things, and not taking active participation. I can't believe this to be the case given the amount of development that GRRM has done of this character's history. I think/hope we will see much more of his influence in the next two books. )